var_data_generator.md

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import pandas as pd
import numpy as np
import statsmodels.api as sm
from statsmodels.tsa.api import VAR

import datetime as dt

data = pd.read_pickle("./data.pkl")

data_stocks = data[['AAPL','MSFT','AMZN']]

data_stocks = data_stocks[:100]

model = VAR(data_stocks)

results = model.fit(3)

results.summary()

cov = results.forecast_cov

cov